name of dataset: volat
no of variables: 17
no of observations: 558

+----------+--------------------------------+
| variable | label                          |
+----------+--------------------------------+
| date     | 1947.01 to 1993.06             |
| sp500    | S&P 500 index                  |
| divyld   | div. yield annualized rate     |
| i3       | 3 mo. T-bill annualized rate   |
| ip       | index of industrial production |
| pcsp     | pct chg, sp500, ann rate       |
| rsp500   | return on sp500: pcsp + divyld |
| pcip     | pct chg, IP, ann rate          |
| ci3      | i3 - i3[_n-1]                  |
| ci3_1    | ci3[_n-1]                      |
| ci3_2    | ci3[_n-2]                      |
| pcip_1   | pcip[_n-1]                     |
| pcip_2   | pcip[_n-2]                     |
| pcip_3   | pcip[_n-3]                     |
| pcsp_1   | pcip[_n-1]                     |
| pcsp_2   | pcip[_n-2]                     |
| pcsp_3   | pcip[_n-3]                     |
+----------+--------------------------------+

J.D. Hamilton and L. Gang (1996), “Stock Market Volatility and the
Business Cycle,” Journal of Applied Econometrics 11, 573-593. I
obtained these data from the Journal of Applied Econometrics data
archive at http://qed.econ.queensu.ca/jae/